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subject:"Time series analysis"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Wang, Yazhen"
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Time series analysis
Estimation
8
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8
Volatility
7
Volatilität
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Zeitreihenanalyse
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Börsenkurs
5
Estimation theory
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1954-1995
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Andersen, Torben
Wang, Yazhen
Todorov, Viktor
7
Kim, Donggyu
5
Li, Jia
5
Tauchen, George Eugene
5
Bollerslev, Tim
4
Fan, Jianqing
3
Koop, Gary
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1
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Journal of econometrics
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Econometrics : open access journal
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Global COE Hi-Stat discussion paper series
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International economic review
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Journal of applied econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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KAIST College of Business Working Paper Series No
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Symposium on forecasting and empirical methods in macroeconomics and finance
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Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
4
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
5
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
6
Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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